一、 富融波动率指数指标说明
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富融波动率指数（Front Index of Volatility: FIV）是富融期权编制并发布的上海证券交易所50ETF期权合约的波动率指数，简称富融波指。该指数包括4个组成部分：① FIV，富融波动率综合指数，由全部认购和认沽期权的隐含波动率按成交量加权得出；② FCIV，富融认购期权隐含波动率指数，简称“富融购指”，由全部认购期权的隐含波动率按成交量加权得出；③ FPIV，富融认沽期权隐含波动率指数，简称“富融沽指”，由全部认沽期权的隐含波动率按成交量加权得出；④ WHV，富融加权历史波动率指数，由5日（50%）、20日（30%）和250日（20%）的历史波动率按近重远轻原则加权并取20日移动平均值得出。
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二、 富融波动率指数
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1.标的50ETF
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日期
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4/30
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4/29
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变化
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变化幅度
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50ETF
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2.852
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2.829
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0.023
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0.81%
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WHV
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17.52%
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17.67%
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-0.15%
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-0.85%
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2.当月合约
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FIV
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18.13%
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14.99%
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3.14%
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20.95%
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FCIV①
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13.89%
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9.26%
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4.63%
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50.00%
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FPIV②
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24.30%
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23.53%
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0.77%
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3.27%
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①/②
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0.57
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0.39
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0.18
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45.25%
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3.次月合约
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FIV
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19.28%
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17.95%
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1.33%
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7.41%
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FCIV①
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15.39%
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12.11%
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3.28%
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27.09%
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FPIV②
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25.60%
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25.28%
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0.32%
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1.27%
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①/②
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0.60
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0.48
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0.12
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25.50%
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4.第1季月合约
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FIV
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20.25%
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19.34%
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0.91%
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4.71%
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FCIV①
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15.00%
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12.84%
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2.16%
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16.82%
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FPIV②
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27.03%
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26.45%
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0.58%
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2.19%
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①/②
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0.55
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0.49
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0.07
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14.32%
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5.第2季月合约
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FIV
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19.44%
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19.20%
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0.24%
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1.25%
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FCIV①
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13.11%
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11.13%
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1.98%
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17.79%
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FPIV②
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27.93%
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26.81%
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1.12%
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4.18%
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①/②
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0.47
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0.42
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0.05
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13.07%
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6.全部合约
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FIV
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18.38%
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15.43%
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2.95%
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19.12%
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FCIV①
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14.14%
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9.71%
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4.43%
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45.62%
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FPIV②
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24.65%
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23.87%
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0.78%
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3.27%
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①/②
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0.57
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0.41
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0.17
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41.02%
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标的50ETF收盘上涨0.81%，富融加权历史波动率指数(WHV)下跌0.15%，为17.52%。FIV（富融波指）报18.38%，上涨2.95%。结构上看，FCIV（富融购指）上涨4.43%，FPIV（富融沽指）上涨0.78%。FIV大于WHV 0.86%。
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三、指标统计分析(C/P Ratio 是认购认沽成交量比，FCIV/FPIV是认购认沽隐波比)
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指标
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当前值
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中位数
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距中位数
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平均值
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50ETF收盘价格
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2.852
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2.940
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-2.99%
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2.919
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WHV
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17.52%
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15.51%
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2.01%
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17.48%
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FIV
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18.38%
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16.98%
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1.40%
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18.49%
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FCIV
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14.14%
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14.82%
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-0.68%
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16.48%
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FPIV
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24.65%
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19.87%
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4.78%
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21.06%
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C/P Ratio
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146.63%
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118.04%
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28.60%
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120.16%
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FCIV/FPIV
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57.34%
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80.17%
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-22.83%
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80.46%
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统计区间: 自2019年07月30日开始到目前为止，共186个交易日数据
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四、基于历史波动率、CALL和PUT的隐含波动率，估算的标的价格分布概率
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50ETF5月期权
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波动率↓价格→
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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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17.52%
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95.05%
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82.98%
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69.93%
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51.18%
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27.18%
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CALL平均波动率
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13.89%
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98.48%
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90.26%
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78.85%
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59.71%
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32.51%
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PUT平均波动率
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24.30%
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85.12%
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69.72%
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56.22%
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39.60%
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20.49%
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50ETF5月期权
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波动率↓价格→
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小于2.71
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大于2.71
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2.71-2.99
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小于2.99
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大于2.99
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历史波动率
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17.52%
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14.08%
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85.92%
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70.63%
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84.71%
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15.29%
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CALL平均波动率
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13.89%
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8.73%
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91.27%
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81.44%
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90.17%
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9.83%
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PUT平均波动率
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24.30%
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21.89%
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78.11%
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55.09%
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76.98%
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23.02%
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五、富融波动率指数动态更新图
1、富融波指动态运行图
2、50ETF历史波动率锥与富融波指对比图
3、50ETF期权购沽成交量比及隐波比动态图
